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Anchoring the yield curve using survey expectations
Altavilla, Carlo; Giacomini, Raffaella; Ragusa, Giuseppe - 2013
The dynamic behavior of the term structure of interest rates is difficult to replicate with models, and even models with a proven track record of empirical performance have underperformed since the early 2000s. On the other hand, survey expectations are accurate predictors of yields, but only...
Persistent link: https://www.econbiz.de/10010368212
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Anchoring the yield curve using survey expectations
Altavilla, Carlo; Giacomini, Raffaella; Ragusa, Giuseppe - 2014
The dynamic behaviour of the term structure of interest rates is difficult to replicate with models, and even models with a proven track record of empirical performance have underperformed since the early 2000s. On the other hand, survey expectations are accurate predictors of yields, but only...
Persistent link: https://www.econbiz.de/10011605677
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The bond premium in a DSGE model with long-run real and nominal risks
Rudebusch, Glenn D.; Swanson, Eric T. - 2008
macroeconomics is far too small and stable relative to empirical measures obtained from the data - an example of the "bond premium …
Persistent link: https://www.econbiz.de/10011506664
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Konstruktion einer Anleihe mit hypothekarischer Besicherung
Alram, Johannes - 2009
This work describes the legal structuring of a mortgage covered bond in accordance with the regulations of paragraphs … rights of the bond holders according to the regulations of the German Statue Governing Common Rights of Owners of Debt … Securities (Schuldverschreibungsgesetz). Furthermore, the work describes how the bond creditors shall have preferences of the …
Persistent link: https://www.econbiz.de/10010298959
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Exploring the CDS-Bond Basis
De Wit, Jan - 2006
. Nonetheless, the average CDS-bond basis (i.e. the difference between both measures) is positive in the period 2004-2005. We detect …
Persistent link: https://www.econbiz.de/10011506625
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Stock market valuation in the United States
Bisciari, Patrick; Durré, Alain; Nyssens, Alain - 2003
are, according to the discount dividend model, annual earnings and, according to Q-theory, net worth. In December 2002 …
Persistent link: https://www.econbiz.de/10011506563
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A leverage-based model of speculative bubbles
Barlevy, Gadi - 2008
This paper develops an equilibrium model of speculative bubbles that can be used to explore the role of various policies in either giving rise to or eliminating the possibility of asset bubbles, e.g. restricting the use of certain types of loan contracts, imposing down- payment restrictions, and...
Persistent link: https://www.econbiz.de/10010292195
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Evaluating Density Forecasts with an Application to Stock Market Returns
Raunig, Burkhard; de Raaij, Gabriela - 2002
Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...
Persistent link: https://www.econbiz.de/10010295725
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The pricing of correlated default risk: evidence from the credit derivatives market
Zhu, Haibin; Tarashev, Nikola A. - 2008
In order to analyze the pricing of portfolio credit risk – as revealed by tranche spreads of a popular credit default swap (CDS) index – we extract risk-neutral probabilities of default (PDs) and physical asset return correlations from single-name CDS spreads. The time profile and overall...
Persistent link: https://www.econbiz.de/10010295946
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Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model
Hautsch, Nikolaus - 2007
relations and cross-dependencies between the individual variables. This confirms economic theory and suggests more parsimonious …
Persistent link: https://www.econbiz.de/10010298374